Zobrazeno 1 - 10
of 32
pro vyhledávání: '"Antonis Papapantoleon"'
We consider derivatives written on multiple underlyings in a one-period financial market, and we are interested in the computation of model-free upper and lower bounds for their arbitrage-free prices. We work in a completely realistic setting, in tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6146888d5742746096a39d38faa682db
Publikováno v:
Transactions of the American Mathematical Society
Transactions of the American Mathematical Society, American Mathematical Society, 2019, 372 (8), pp.5891-5946. ⟨10.1090/tran/7880⟩
Transactions of the American Mathematical Society, American Mathematical Society, 2019, 372 (8), pp.5891-5946. ⟨10.1090/tran/7880⟩
In this paper, we obtain stability results for martingale representations in a very general framework. More specifically, we consider a sequence of martingales each adapted to its own filtration, and a sequence of random variables measurable with res
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce2adc340e962df2e033c1afdb5c3b1e
http://arxiv.org/abs/1806.01172
http://arxiv.org/abs/1806.01172
The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6574962a8b38e568253e8c1ef78944d1
https://hal.archives-ouvertes.fr/hal-01764398/document
https://hal.archives-ouvertes.fr/hal-01764398/document
Autor:
Antonis Papapantoleon, Thibaut Lux
Publikováno v:
Ann. Appl. Probab. 27, no. 6 (2017), 3633-3671
We derive upper and lower bounds on the expectation of $f(\mathbf{S})$ under dependence uncertainty, that is, when the marginal distributions of the random vector $\mathbf{S}=(S_{1},\ldots,S_{d})$ are known but their dependence structure is partially
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::84d1c495a2f12153f66b475a58e4e06e
https://projecteuclid.org/euclid.aoap/1513328710
https://projecteuclid.org/euclid.aoap/1513328710
Publikováno v:
SIAM Journal on Control and Optimization, 60(1)
Motivated by applications in model-free finance and quantitative risk management, we consider Fr\'echet classes of multivariate distribution functions where additional information on the joint distribution is assumed, while uncertainty in the margina
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be99e04a50f69a72550b4224d5735117
http://arxiv.org/abs/1709.00641
http://arxiv.org/abs/1709.00641
Publikováno v:
The Journal of Risk. 16:3-29
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as conditional value-at-risk (CVaR) and monotone mean–variance. Numerical schemes are developed for the compu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7dee26126d225936a4346de7ee0e887b
https://doi.org/10.21314/jor.2014.281
https://doi.org/10.21314/jor.2014.281
Autor:
Jan Kallsen, Antonis Papapantoleon
This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein's 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the work
Autor:
Antonis Papapantoleon, Thibaut Lux
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,\dots,X_d)$ is a random vector with known marginal distributions and partiall
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d4cca6facb2c16fbc54ceb6b556a2b0e
http://arxiv.org/abs/1610.09734
http://arxiv.org/abs/1610.09734
Publikováno v:
Electronic Journal of Probability
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2018, 23 (121), pp.1-68. ⟨10.1214/18-EJP240⟩
Electron. J. Probab.
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2018, 23 (121), pp.1-68. ⟨10.1214/18-EJP240⟩
Electron. J. Probab.
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to satisfy the usual hypotheses, i.e. the filtration may
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0df85a3352c4c59bd846396939671487
https://hal.archives-ouvertes.fr/hal-01481387
https://hal.archives-ouvertes.fr/hal-01481387
Autor:
Robert Wardenga, Antonis Papapantoleon
Publikováno v:
Probability, Uncertainty and Quantitative Risk, Vol 3, Iss 1, Pp 1-28 (2018)
We consider the class of affine LIBOR models with multiple curves, which is an analytically tractable class of discrete tenor models that easily accommodates positive or negative interest rates and positive spreads. By introducing an interpolating fu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b491a0c687b56fc4ea3f6f476a59fa8d
http://arxiv.org/abs/1607.03522
http://arxiv.org/abs/1607.03522